The purpose of this paper is to obtain approximations to the transition intensities defined for a multiple state model for Permanent Health Insurance (PHI) which enables us to analyse PHI claims by cause of disability.
The approximations to the transition intensities are obtained using a set of PHI data classified by 18 sickness categories and the graduations of the transition intensities defined for a simpler model proposed in Continuous Mortality Investigation Reports, 12 (1991).
In order to derive the approximations to the recovery and mortality of the sick intensities for our model, we carry out tests of hypotheses based on the distributions of average sickness durations. The approximations to the sickness intensities are obtained by estimating a statistical model for the number of claim inceptions, which can be formulated as a generalized linear model.
